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I know I can access files in Azure file storage via REST apis and security is one of the parameters of the call, as a validity period of this security it is too. But, if security is applied by a parameter in the requests, it means I have to manage this security
in my application, and I would like it to be managed by Azure File Store itself.

Do you know if it is possible?

I try to test with adding users to the storage account, but I don't see how to assign security privileges on an specific file. Does anyone know how to do this?

We currently do not support AD-based authentication or ACLs, but do have it in our list of feature requests. For now, the Azure Storage account keys are used to provide authentication to the file share. We do offer a workaround using shared access signatures
(SAS) via the REST API or the client libraries. Using SAS, you can generate tokens with specific permissions that are valid over a specified time interval. For example, you can generate a token with read-only access to a given file. Anyone who possesses this
token while it is valid has read-only access to that file.

SAS is only supported via the REST API or client libraries. When you mount the file share via the SMB protocol, you can’t use a SAS to delegate access to its contents